AVP - Qualitative Models Validation Senior Analyst

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

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Job Details:

This position is with the Qualitative Model Validation team and is part of the Model Risk Management (MRM) group, which resides in the Risk organization. The Qualitative Model Validation team is responsible for reviewing and assessing qualitative models as part of Citi’s Model Risk Management framework. The main objectives are to ensure that qualitative models are used appropriately by the business and that model users are aware of the models’ limitations and weaknesses that should be mitigated by compensating controls. A qualitative model is a model whose output is largely or entirely dependent upon key assumptions which are primarily qualitative in nature (but may have quantitative components, e.g., models that are partially based on expert judgment or other qualitative evidence.) Qualitative models are held to the same high standard as all models at Citi, and are guided by the same principles outlined in supervisory guidance letter SR 11-7.  

Key activities include:

• Performing independent validation of qualitative models across the firm, in line with the Citi Model Risk Management Policy and procedures. This includes:

  oCritically reviewing the appropriateness of a Qualitative Model versus alternative quantitative approach with respect to the modeling objective and the available model development data

  oProducing high value models validation reports, including highlighting risks and limitations of the model.

  oEvaluating testing approach and results for individual models in accordance with MRM guidance

  oAssessing the ongoing performance monitoring of the models

  oContributing to regulatory and internal audit related responses

  oCollaborating with other teams within Risk and the Business regarding qualitative models to facilitate compliance with our policies, procedures, and guidance. 

  oAssisting with preparing the reports and other meeting materials to MRM senior management.

  oSupporting the process of designing, developing, delivering, and maintaining best-in-class qualitative model validation process standards, guidance, practices, templates, and other documentation.

Qualification:

• Minimum Bachelor’ degree in Finance, Economics, or other quantitative discipline (statistics, quantitative finance, econometrics, etc.). Masters’ degree or above is preferred.

• 3 years of experience of Banking, Treasury, Finance, Risk management, Analytics preferred. However, talented candidates with fewer years of experience will be considered.

• Demonstrate excellent partnership and teamwork skills.

• Ability to formulate findings clearly and concisely in a written form and good verbal communication skills.

• Good analytic, creative thinking, and problem-solving abilities.

• Adept and meticulous at analysis and documentation of results.

• Ability to multi-task, work well under pressure, and deliver results under tight deadlines.

• Knowledge of financial markets and products.

• Qualitative or quantitative model risk management experience is a plus.

• Experienced user of Microsoft Office Suite, especially Excel, PowerPoint and Word. Knowledge of SAS, Python or R language a plus.

• Solid knowledge of time series analysis, statistics and econometrics preferred.

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

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